The response mechanism of an agro-pastoral system to climate fluctuations is one of the major scientific challenges associated with the establishment of an agro-pastoral coupling system, as well as being a key problem related to the sustainability of an agro-pastoral transitional zone. By using stepwise regression analysis (SRA) and empirical mode decomposition method, we evaluated the dynamics of climate fluctuation and the corresponding changes in the agro-pastoral system of Yanchi County between 1954 and 2013. The range, amplitude, and variance contribution rate were analyzed for 12 indicators in the climate system, agricultural system, and animal husbandry system. Furthermore, we explored the relationships among fluctuations in climate, agriculture, and animal husbandry. The results demonstrated the presence of clear fluctuations in the agro-pastoral system, which corresponded to climate fluctuations in the past 60 years. The sequence of fluctuations ranging from strong to weak comprised the climate, agriculture, and animal husbandry systems. The amount of variance contributed by high-amplitude intrinsic mode functions (IMFs) was the highest for climate indicators, followed by agricultural indicators and animal husbandry indicators. However, the amounts of variance contributed by medial- and low-amplitude IMFs exhibited the opposite trend, increasing from climate indicators to agricultural indicators and then animal husbandry indicators. The SRA showed that the main factors contributing to the fluctuations were annual precipitation, followed by the total grain output and total number of sheep. Thus, the amplitude of the system was higher when it was more controlled by nature. Furthermore, the agriculture and animal husbandry systems generally exhibited changes due to the combined effects of economic factors and climate fluctuation during the past 60 years. Agriculture was affected the most strongly by climate before 1999 when an abrupt change occurred, but subsequently, the effects were weak. Similarly, animal husbandry was affected the most strongly by agriculture before the abrupt change point, and the effects were weaker thereafter. In addition, in recent years, both the agriculture and animal husbandry systems have been increasingly influenced by economic factors. The input of water and capital has improved and stabilized the total grain yield, thereby leading to dramatic increases and further extreme fluctuations in livestock numbers. Finally, the differences in the fluctuations, correlations, and climate response features of the agriculture and animal husbandry systems demonstrated that coupling these systems may help to reduce fluctuations in these individual systems. Therefore, it is important to design an agriculture and animal husbandry coupling system with balanced positive and negative feedback according to the rules of ecology and economics in order to achieve sustainability in the agro-pastoral transitional zone.